A New Suboptimal Approach to the Filtering Problem for Bilinear Stochastic Differential Systems

The aim of this paper is to present a new approach to the filtering problem for the class of bilinear stochastic multivariable systems, consisting in searching for suboptimal state-estimates instead of the conditional statistics. As a first result, a finite-dimensional optimal linear filter for the considered class of systems is defined. Then, the more general problem of designing polynomial finite-dimensional filters is considered. The equations of a finite-dimensional filter are given, producing a state-estimate which is optimal in a class of polynomial transformations of the measurements with arbitrarily fixed degree. Numerical simulations show the effectiveness of the proposed filter.